Once you've unzipped the folder it needs to go in your custom levels folder. You can then leave them as they are or make new folders in the custom levels folder and then 'file' them according to theme etc.
I've got about 20 other folders in my custom levels folder - Filmland - Kids - and various others, as leaving them all as they are would mean a list as long as my arm in the custom levels folder.
Hope that helps.
Enjoy your new levels.
